Penalty for Open positions in Options even after expiry date?

What would happen if I miss closing on the open position before the expiry period? e.g: If I have a nifty option 6600CE Sell for April 24 expiry, but if I miss buying it, would there be a penalty?

If you have a short position that you don't cover before expiry, there is no issues with it as you would have already paid the STT while selling. 

If you have a buy option position that expires in the money that is when you could have some trouble. It is not really a penalty, but STT for options that expires in the money is 0.125% of the entire contract value, whereas if you sell it in the market it will be 0.017% of the premium. 

So if you have Buy Nifty 6600 calls and you let it expire, and Nifty closes at 6650. The STT you will have to pay per lot would be 0.125% x 6650 x 50 around Rs 415, but if you had the sold the same on the exchange it would have been 0.017% x 50 x 50 = around Rs 4. 

Had written something on this a while back, check this link. 

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Thanks a lot Nithin.

And because of this sometimes, the option would be selling at a little discounted value than what it is worth, since the buyer has to bear 0.125% STT instead of 0.017%. This is to compensate his burden.